Determining whether a data set contains one or more outliers is a challenge commonly faced in applied statistics. This paper introduces a distribution-free test for multiple outliers in data drawn from an unknown data generating process. Besides, a sequential algorithm is proposed in order to...

Among many developments in statistical modelling in recent years, non- and semiparametric methods have proved to be a particularly powerful data-analytic tool. Nevertheless, there still exist justified doubts regarding there forecasting performance, for example in the context of financial time...

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...